The development of a simple and intuitive rating system under Solvency II

DOI10.1016/J.INSMATHECO.2010.01.008zbMATH Open1231.91467OpenAlexW1995923452MaRDI QIDQ659260FDOQ659260

Authors: Elisabeth Van Laere, Bart Baesens 

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.008

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zbMATH Keywords

credit scoringinsuranceSolvency IIexternal ratingsinternal ratings

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• The pricing of options and corporate liabilities
• Random survival forests models for SME credit risk measurement
• Title not available (Why is that?)
• Bankruptcy Prediction with Industry Effects
• Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models
• The influence of the business cycle on bankruptcy probability
• A Comparison of the Rough Sets and Recursive Partitioning Induction Approaches: An Application to Commercial Loans

Cited In (2)

• Robust Eligible Own Funds and Value at Risk Under Solvency II System
• Modelling of insurers' rating determinants. An application of machine learning techniques and statistical models

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